Daily Tempest history per symbol
One row per stored session, at that session's close (15:59 ET): OHLC, SVX per tenor and weekend-adjusted, ATM vol, term slope, 30-day risk reversal / butterfly / ATM vol / skew slope, tilt, chain depth (n_used), calc_v. Columnar: dates[] plus one array per field in columns. Every value was knowable at that session's close; features from session D predict D+1 onward. History starts where Tempest's backfill does (up to about two years); /v1/vol/symbols shows each symbol's last stored session.
Expected move at each close. Every row also carries the one-standard-deviation (1-sigma) move options priced at that session's close for the span to the next session's close, so each past day's priced range can be replayed:
| Column | Meaning |
|---|---|
| em_1d_pct | The 1-sigma move, in % of that session's close |
| em_1d | The same move in $ (close * em_1d_pct / 100) |
| range_1d_low | close - em_1d |
| range_1d_high | close + em_1d |
| em_1d_event | 1 when an earnings report falls inside the span and its priced move is counted in full, else 0 |
It is the same next-day move as the Tempest cone at that close: the nearest expiry's priced variance, split by trading time, so a Friday close prices the weekend. The band is symmetric (no skew). The values are null where a session has no reading, and for VIX.
Cost: per symbol-day: 1 credit per 10 symbol-weekdays in the requested window, rounded up, minimum 1 (1 symbol x the default month is 3; 10 symbols x one year is 261). Computed from the request, so known before the call; holidays are not discounted.
Request
- Base URL: https://api.skylit.ai
- URL: https://api.skylit.ai/v1/vol/history
- Auth: HTTP bearer
Query parameters
Comma-separated Tempest symbols (up to 10). Tempest keys the S&P complex on the option root SPXW and Nasdaq-100 on NDXP; see /v1/vol/symbols.
First session (YYYY-MM-DD, ET). Default one month before to.
Last session, inclusive. Default today (ET). At most 800 calendar days after from.
Comma-separated columns to return (default all).
Response
OK.
Example response
{
"meta": {
"attribution": {
"text": "Powered by Skylit"
}
}
}Changes
No recorded changes to this operation across all 1 revision of this API.